A CUSUM test for a long memory heterogeneous autoregressive model

Eunju Hwang and Dong Wan Shin

Economics Letters, 2013, vol. 121, issue 3, 379-383

Abstract: A CUSUM test is proposed for testing structural breaks in a long-memory heterogeneous autoregressive model. The limiting distribution of the CUSUM test is shown to be a simple function of a standard Brownian bridge, contrasting with the nuisance parameter dependent asymptotics of other CUSUM tests based on fractional integration models. A Monte-Carlo experiment investigates finite sample size and power of the test. The proposed test is applied to a set of daily realized volatilities of the log-return of the Korean Won US Dollar exchange rate to reveal some evidence of a break in addition to a long-memory.

Keywords: HAR model; Parameter constancy; Realized volatility; Structural break (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:3:p:379-383

DOI: 10.1016/j.econlet.2013.09.014

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